ARDSHINBANK CJSC: Moody's Cuts Long-Term FC Deposit Rating to B2----------------------------------------------------------------Moody's Investors Service has taken rating actions on the twoArmenian banks -- Ardshinbank CJSC and VTB Bank (Armenia). Theseactions follow the weakening of Armenia's credit profile, asreflected by Moody's downgrade of Armenia's government debt ratingto B1 from Ba3 on March 18, 2015. For additional information,please refer to the related announcement:

https://www.moodys.com/research/--PR_345220

Specifically, Moody's downgraded Ardshinbank's long-term localcurrency deposit rating and foreign-currency senior unsecured debtrating to B1 from Ba3. This was driven by downgrade of the bank'sBaseline Credit Assessment (BCA) to b1 from ba3, reflectingMoody's view that the bank's creditworthiness is highly correlatedto that of its national government due to the shared exposure oftheir financial health to the country's macroeconomic. All thebank's ratings carry a stable outlook reflecting Ardshinbank'sresilience to challenging credit conditions and a stable outlookassigned to Armenian government ratings.

At the same time, the rating agency has also downgradedArdshinbank's and VTB Bank (Armenia)'s long-term foreign-currencydeposit ratings to B2 from B1, following the downgrade of theceiling for foreign-currency deposit ratings in Armenia.

RATINGS RATIONALE

-- ARDSHINBANK

The downgrade of Ardshinbank's BCA takes into account Moody'sassessment of high linkages between the credit profiles of theArmenian government and the bank, given: (i) The high degree towhich the bank's businesses depend on the domestic macroeconomicand financial environment, as 100% of Ardshinbank's operations areoriginated in Armenia; (ii) the bank's direct exposures todomestic sovereign debt, accounting for a sizable 43% of itsshareholders' equity as at year-end 2015; as well as (iii) certainreliance on international market-based funding -- with 16% of thebank's non-equity funding represented by Eurobonds -- which issensitive to change in investors' perception of Armenia-basedcredit risks.

The downgrade of Ardshinbank's foreign-currency deposit rating toB2 from B1 was driven by the lowering of Armenia's foreign-currency deposit ceiling to B2 from B1.

All of the bank's ratings carry a stable outlook, in line with thesovereign rating outlook.

-- VTB BANK (ARMENIA)

The downgrade of VTB Bank (Armenia)'s foreign-currency depositrating to B2 from B1 was driven by the lowering of Armenia'sforeign-currency deposit ceiling to B2 from B1. The bank's long-term local currency deposit rating of Ba3, as well as its BCA ofb2 remained unchanged. All of the bank's ratings carry a negativeoutlook.

WHAT COULD MOVE RATINGS UP OR DOWN

There is limited positive pressure of the ratings of Ardshinbankand VTB Bank (Armenia) as reflected by the rating actions takentoday and a negative outlook attached to VTB Bank (Armenia)'sratings.

The bank ratings could be downgraded if negative credit conditionsin Armenia lead to an erosion of the banks' solvency metrics, i.e.meaningful weakening in asset quality and/or in the capitalgeneration capacity of the banks.

At the same time, S&P lowered its issue rating on Welltec's $325million senior secured notes to 'B' from 'B+'. The recoveryrating on these notes remains at '4', indicating S&P's expectationof average recovery in the higher half of the 30%-50% range in theevent of a payment default.

The downgrade reflects S&P's now more pessimistic view ofWelltec's credit metrics and its ability to mitigate the negativeeffect of the current market downturn on performance. S&P thinksthat the company's EBITDA will continue to weaken in 2016 after asevere reduction in 2015, mainly due to challenging marketconditions and lower-than-expected demand for its services in thenext couple of years. Moreover, S&P has very limited visibilityon the company's future cash flow generation, since Welltec haslimited contracted revenues. S&P also thinks that the oil and gassector will remain depressed well into 2016, with recovery in thedemand for and price of oilfield services uncertain at this stage.

S&P consequently anticipates lower EBITDA and cash flows forWelltec in 2015-2016. In particular, S&P now projects reportedEBITDA at about $80 million in 2016 and lower than $100 million in2017, down from $87 million in 2015. This leads, in turn, toStandard & Poor's-adjusted funds from operations (FFO) to debt ofabout 10% on average in 2016-2017, which is stable compared with9% in 2014, but which S&P don't consider as commensurate with a'B+' rating.

S&P's assessment of Welltec's business risk profile as weakreflects its small size; relatively narrow service offering;exposure to the cyclical, highly competitive, and volatile oil andgas industry; and lack of medium- to long-term backlogs relativeto other players in the oil field services sector, such asdrillers. S&P also thinks that Welltec's profitability may bevolatile because there can be pronounced quarterly swings indemand, EBITDA, margins, and working capital. S&P also factors inthe company's leading position in the currently relatively narrowmarket of robotic well interventions; exclusive control over thetechnology it uses, which creates a significant barrier to entryfor competitors; and healthy long-term growth opportunities.

S&P's assessment of Welltec's financial risk profile takes intoaccount S&P's 2013-2017 weighted average estimate of FFO to debtof 10%-12%, combined with S&P's weighted average estimate of freeoperating cash flow (FOCF) to debt of about 5%. These metrics arelower than S&P anticipated, which has prompted it to lower itsassessment of the company's financial risk to highly leveragedfrom aggressive.

S&P also factors in its projections of positive FOCF, based on areported EBITDA margin of at least 40%, coupled with containedcapital expenditures in 2016-2017. S&P notes that the companymarkedly reduced fixed costs and development capital expendituresin 2015 to adapt to the weaker market conditions, and S&P expectsthis trend could continue in 2016.

-- Continued, sharp, double-digit decline in revenues in 2016, following an about 30% fall in 2015, reflecting the high uncertainty regarding the capital expenditures of oil and gas exploration and production companies amid the persisting low oil prices. Some improvement in EBITDA margin, to at least 40% in 2016-2017, after 35% in 2015, due to successful cost cutting partly mitigating the negative impact of price pressure from unfavorable market conditions. Positive FOCF, supported by the company's likely reduction of capital expenditures to $40 million-$50 million in 2016-2017.

-- Stable adjusted net debt over the next two years (after $375 million at the end of 2015).

Based on these assumptions, S&P arrives at these credit measuresfor Welltec:

-- Reported EBITDA of about $80 million in 2016 and below $100 million in 2017 (after $87 million in 2014). Standard & Poor's-adjusted FFO to debt of about 10% in 2016-2017, compared with 9% in 2014. Standard & Poor's-adjusted debt to EBITDA of 5x-6x in 2016 and about 5x in 2017, following about 5x in 2014.

S&P could lower the rating if Welltec's Standard & Poor's-adjusteddebt to EBITDA increased to 6x or more, if Standard & Poor's-adjusted EBITDA coverage was lower than 2x, or if FOCF turnednegative for multiple quarters. This would likely occur alongwith prolonged depressed oil prices. S&P would also considerreduced leeway on leverage covenant headroom to less than 15% as anegative rating factor.

S&P could revise its outlook on Welltec to stable if S&P revisedits forecasts, for instance with debt to EBITDA sustainably lowerthan 5x and EBITDA margin of at least 40%. Such a change in S&P'sforecasts would likely by fueled by higher oil prices than S&Pcurrently anticipates. An upward rating action would also besupported by FOCF remaining positive and improved visibility onfuture revenues.

The rating actions follow S&P's assessment of the transaction'sperformance using data from the latest available trustee report atthe time of S&P's analysis, dated Jan. 28, 2016.

"We subjected the capital structure to a cash flow analysis todetermine the break-even default rate (BDR) for each rated classof notes at the respective rating level. The BDR represents ourestimate of the maximum level of gross defaults, based on ourstress assumptions, that a tranche can withstand and still fullyrepay the noteholders. In our analysis, we used the reportedportfolio balance that we consider to be performing(EUR90,373,903), the current weighted-average spread (1.74%), andthe weighted-average recovery rates calculated in accordance withour criteria for rating collateralized debt obligations (CDOs) ofstructured finance assets. We applied various cash flow stressscenarios, using different default patterns, in conjunction withdifferent interest rate stress scenarios for each liability ratingcategory," S&P said.

In S&P's analysis, it has observed that the aggregate collateralbalance has reduced by EUR46.47 million since S&P's previousreview on Sept. 17, 2013. This is mainly due to the structuraldeleveraging of the senior notes, which has resulted in anincrease in the available credit enhancement for all classes ofnotes. The upgrades of the class A1 Rev FRN, A1 FRN, A2, and Bnotes reflect this increased available credit enhancement.

S&P has observed that the assets that it considers to be rated inthe 'CCC' category ('CCC+', 'CCC', and 'CCC-') have increased to13.9% from 10.0% at S&P's previous review, and defaulted assets(rated 'CC', 'C', 'SD' [selective default], and 'D') have reducedto 0.01% from 2.35% over the same period. Overall, the averagecredit quality of the portfolio remained unchanged at 'BB-', whilethe weighted-average spread earned on the collateral pool reducedto 1.74% from 1.94%.

None of the par value tests, except the class B par value test,currently comply with the required levels under the transactiondocuments. In S&P's previous review, none of the class B, C, andD par value tests complied with the required levels. Themagnitude by which the class C and D par value tests are failinghas reduced compared with our previous review. The class C and Dnotes are in breach of their respective interest coverage (IC)tests and have a portion of deferred interest currentlyoutstanding.

The increase in available credit enhancement has resulted in theclass A1 Rev FRN, A1 FRN, A2, and B notes being able to achievehigher ratings in S&P's cash flow analysis. The results of S&P'scash flow analysis indicate that these classes of notes are ableto sustain defaults at higher rating levels than those currentlyassigned. S&P has therefore raised its ratings on the class A1Rev FRN, A1 FRN, A2, and B of notes.

S&P's credit and cash flow analysis of the class C and D notesindicates that the available credit enhancement for these classesof notes is commensurate with higher ratings than currentlyassigned. However, S&P has affirmed its ratings on these classesof notes due to the breach of the par value tests--that includeratings-based haircuts (discounts)--and the IC tests applicable tothese classes of notes, which have continued since S&P's previousreview. Both of these classes of notes currently have deferredinterest outstanding and are likely to defer further interest,given the level of failure on their respective IC tests. Theresult of the class C and D notes' IC tests is 95.01%, against arequired threshold of 107.0% and 105.0%, respectively.

Stanton MBS I is a cash flow CDO of asset-backed securities (ABS)transaction that securitizes structured finance securities, mostlyresidential mortgage-backed securities (RMBS) and CDOs. Thetransaction closed in November 2004 and is managed by CambridgePlace Investment Management LLP.

COSAN OVERSEAS: Moody's Cuts Ratings on Sr. Unsec. Notes to Ba3---------------------------------------------------------------Moody's Investors Service downgraded the ratings of the notesissued by Cosan Overseas Limited and Cosan Luxembourg S.A andguaranteed by Cosan to Ba3 from Ba2. At the same time, Moody'sAmerica Latina has today affirmed Cosan S.A. Industria e Comercio("Cosan")'s Ba2 (global scale) and A1.br (national scale)corporate family ratings. The outlook was revised to negative fromstable, since the company's corporate family rating directlyderives from the ratings of its subsidiaries Raizen (Ba1 negative)and Comgas (Ba2 negative), both of which are constrained by theBrazil sovereign bond ratings (Ba2 negative).

Ratings downgraded:

Issuer: Cosan Luxembourg SA

-- $US500 million senior unsecured notes due 2023: to Ba3 from Ba2

-- BRL850 million senior unsecured notes due 2018: to Ba3 from Ba2

Issuer: Cosan Overseas Limited

-- $US500 million perpetual bonds: to Ba3 from Ba2

Outlook actions:

Revised to negative from stable

RATING RATIONALE

"Cosan's Ba2 corporate family rating reflects the group'saggregate credit risk, and is supported by the company'sdiversified portfolio of businesses, including the entire sugar-ethanol chain, fuel and gas distribution, lubes and landmanagement in Brazil, and its adequate liquidity profile. Thecompany's diversification, especially towards resilient businessessuch as the fuel and gas distribution, translates into a stablecash source over the long-term. Moreover, we expect Raizen andComgas to distribute a significant amount of dividends over thenext several years, which will be the primarily liquidity sourceto service Cosan's obligations."

"Constraining the ratings is Cosan's aggressive financial policywith an acquisitive growth history and likely high dividendsupstream to Cosan Limited -- although the company is expected togenerate enough cash to fund those dividends and reduce leverage.Although this acquisitive history translated into diversification,it also pressured leverage ratios. Moreover, even though Cosan nolonger proportionally consolidates its stake in Raizen, wecontinue to incorporate Raizen's strengths, including its strongcash generation, and risks, such as the exposure to the underlyingvolatility of the sugar-ethanol business, in Cosan's ratings."

"The downgrade of the ratings of Cosan's senior unsecured notes toBa3 reflects the recent downgrades of Raizen to Ba1 from Baa3 andComgas to Ba2 from Baa3, both with a negative outlook. The bulk ofCosan's cash generation come from dividends from Raizen and Comgasand, consequently, we see the debt at Cosan S.A. level asstructured subordinated to the debt at the operating companies.The downgrades of Raizen and Comgas followed the action thatdowngraded Brazil's government bond rating to Ba2 from Baa3.Although we believe a significant portion of Cosan's cash flows,represented by Raizen Combustiveis and Comgas, is more resilientthan the overall economy in Brazil, these entities are not fullyinsulated from the deterioration in the domestic environment."

The negative outlook on Cosan's ratings mirrors the negativeoutlook on its two main subsidiaries, Raizen and Comgas.

A downgrade of Cosan's ratings could result from further negativerating actions on Comgas or Raizen or if liquidity deteriorates.In addition, the ratings could be downgraded if total adjusteddebt to EBITDA is sustained above 4.0x.

Although unlikely in the near term, Cosan's ratings could beupgraded if the company is able to reduce leverage to levels below3.2x while maintaining an adequate liquidity profile. An upgradeof Raizen or Comgas ratings would also put positive pressure onCosan's ratings. (All pro-forma ratios including Raizen figures).

Headquartered in Sao Paulo, Cosan S.A. Industria e Comercio has a50% stake in Raizen (Ba1/Aa1.br negative) and a 61.3% stake inComgas (Ba2/Aa2.br negative). With annual revenue of BRL71 billion(approximately $US21.3 billion) as of December 2015, Raizen is oneof the global leading players in the sugar-ethanol segment with aninstalled crushing capacity of 68 million tons and also the thirdlargest Brazilian fuel distributor, operating 5,682 gas stations,mainly under the Shell brand name. Comgas, with annual revenues ofapproximately BRL 6.6 billion (approximately $US2.0 billion) inthe same period, is Brazil's largest gas distributor, providingnatural gas to industrial, residential, commercial, automotive,thermal-power generation and co-generation consumers. The companybenefits from an attractive concession area strategically locatedin one of the most densely populated and economically robustregions in the country.

Additionally, Cosan produces and distributes automotive lubricantsand base oil under the Mobil brand name and has a 37.7% stake inRadar, a land management company with interests in agriculturalproperties. In the fiscal year 2015 Cosan's net sales reachedBRL8.5 billion (approximately $US2.6 billion).

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CONTEGO CLO III: Moody's Assigns (P)Ba2(sf) Rating to Cl. E Notes-----------------------------------------------------------------Moody's Investors Service announced that it has assigned thefollowing provisional ratings to notes to be issued by Contego CLOIII B.V. (the "Issuer"):

Moody's issues provisional ratings in advance of the final sale offinancial instruments, but these ratings only represent Moody'spreliminary credit opinions. Upon a conclusive review of atransaction and associated documentation, Moody's will endeavor toassign definitive ratings. A definitive rating (if any) may differfrom a provisional rating.

RATINGS RATIONALE

Moody's provisional rating of the rated notes addresses theexpected loss posed to noteholders by legal final maturity of thenotes in 2029. The provisional ratings reflect the risks due todefaults on the underlying portfolio of loans given thecharacteristics and eligibility criteria of the constituentassets, the relevant portfolio tests and covenants as well as thetransaction's capital and legal structure. Furthermore, Moody's isof the opinion that the collateral manager, Five Arrows ManagersLLP ("Five Arrows"), has sufficient experience and operationalcapacity and is capable of managing this CLO.

Contego CLO III B.V. is a managed cash flow CLO. At least 90% ofthe portfolio must consist of secured senior obligations and up to10% of the portfolio may consist of senior unsecured obligations,second-lien loans, high yield bonds and mezzanine obligations. Theportfolio is expected to be approximately 80% ramped up as of theclosing date and to be comprised predominantly of corporate loansto obligors domiciled in Western Europe. The remainder of theportfolio will be acquired during the three month ramp-up periodin compliance with the portfolio guidelines.

Five Arrows, a Rothschild Group company, will manage the CLO. Itwill direct the selection, acquisition and disposition ofcollateral on behalf of the Issuer and may engage in tradingactivity, including discretionary trading, during thetransaction's four-year reinvestment period. Thereafter, purchasesare permitted using principal proceeds from unscheduled principalpayments and proceeds from sales of credit improved and creditimpaired obligations, and are subject to certain restrictions.

In addition to the five classes of notes rated by Moody's, theIssuer will issue EUR 40,300,000 of subordinated notes. Moody'swill not assign ratings to this class of notes.

The transaction incorporates interest and par coverage testswhich, if triggered, divert interest and principal proceeds to paydown the notes in order of seniority.

Factors that would lead to an upgrade or downgrade of the ratings:

The rated notes' performance is subject to uncertainty. The notes'performance is sensitive to the performance of the underlyingportfolio, which in turn depends on economic and credit conditionsthat may change. Five Arrows' investment decisions and managementof the transaction will also affect the notes' performance.

Loss and Cash Flow Analysis:

Moody's modeled the transaction using CDOEdge, a cash flow modelbased on the Binomial Expansion Technique, as described in Section2.3 of the "Moody's Global Approach to Rating Collateralized LoanObligations" rating methodology published in December 2015. Thecash flow model evaluates all default scenarios that are thenweighted considering the probabilities of the binomialdistribution assumed for the portfolio default rate. In eachdefault scenario, the corresponding loss for each class of notesis calculated given the incoming cash flows from the assets andthe outgoing payments to third parties and noteholders. Therefore,the expected loss or EL for each tranche is the sum product of (i)the probability of occurrence of each default scenario and (ii)the loss derived from the cash flow model in each default scenariofor each tranche.

Moody's used the following base-case modeling assumptions:

Par Amount: EUR 300,000,000

Diversity Score: 36

Weighted Average Rating Factor (WARF): 2730

Weighted Average Spread (WAS): 3.95%

Weighted Average Coupon (WAC): 4.25%

Weighted Average Recovery Rate (WARR): 44.5%

Weighted Average Life (WAL): 8 years

Moody's has analyzed the potential impact associated withsovereign related risk of peripheral European countries. As partof the base case, Moody's has addressed the potential exposure toobligors domiciled in countries with local currency country riskceiling of A1 or below. Following the effective date, and giventhe portfolio constraints, only up to 10% of the pool can bedomiciled in countries with foreign currency government bondrating below A3. Given this portfolio composition, there were noadjustments to the target par amount, as further described in themethodology.

Stress Scenarios:

Together with the set of modelling assumptions above, Moody'sconducted an additional sensitivity analysis, which was animportant component in determining the provisional rating assignedto the rated notes. This sensitivity analysis includes increaseddefault probability relative to the base case. Below is a summaryof the impact of an increase in default probability (expressed interms of WARF level) on each of the rated notes (shown in terms ofthe number of notch difference versus the current model output,whereby a negative difference corresponds to higher expectedlosses), holding all other factors equal:

The assignment of final ratings is contingent on the receipt offinal documents conforming to information already reviewed.

Contego CLO III B.V. (the issuer) is a cash flow collateralizedloan obligation (CLO). Net proceeds from the issuance of thenotes are being used to purchase a EUR300 mil. portfolio of mostlyEuropean leveraged loans and bonds. The portfolio is managed byFive Arrows Managers LLP (part of the Rothschild Group). Thereinvestment period is scheduled to end in April 2020.

KEY RATING DRIVERS

'B' Category Portfolio Credit Quality

The average credit quality of the identified portfolio is in the'B' category. Fitch has public ratings or credit opinions on allbut two obligors in the identified portfolio. The covenantedmaximum Fitch weighted average rating factor (WARF) for assigningthe ratings is 33.5. The WARF of the identified portfolio is32.87.

High Expected Recoveries

At least 90% of the portfolio comprises senior securedobligations. Fitch has assigned Recovery Ratings (RR) to 71 ofthe 73 obligations in the identified portfolio. The covenantedminimum Fitch weighted average recovery rate (WARR) for assigningthe ratings is 68%. The WARR of the identified portfolio is 70.1.

Diversified Portfolio

The transaction contains a covenant that limits the top 10obligors to 20% of the portfolio balance. In addition, portfolioprofile tests limit exposure to the top Fitch industry to 17.5%and the top three Fitch industries to 40%. This ensures that theasset portfolio is not exposed to excessive obligor concentration.

Limited FX Risk

The transaction is allowed to invest in non-euro-denominatedassets, provided these are hedged with perfect asset swaps within30 days after settlement. Unhedged non-euro assets must notexceed 3% of the portfolio at any time and can only be includedif, at the trade date of such assets, the portfolio balance isabove the target par amount and the principal balance of suchassets, converted into euro at spot rate, is haircut by 50%.

Documentation Amendments

The transaction documents may be amended subject to rating agencyconfirmation or noteholder approval. Where rating agencyconfirmation relates to risk factors, Fitch will analyze theproposed change and may provide a rating action commentary if thechange has a negative impact on the ratings. Such amendments maydelay the repayment of the notes as long as Fitch's analysisconfirms the expected repayment of principal at the legal finalmaturity.

If in the agency's opinion the amendment is risk-neutral from arating perspective Fitch may decline to comment. Noteholdersshould be aware that the structure considers the confirmation tobe given if Fitch declines to comment.

RATING SENSITIVITIES

A 25% increase in the expected obligor default probability wouldlead to a downgrade of up to two notches for the rated notes. A25% reduction in expected recovery rates would lead to a downgradeof up to five notches for the rated notes.

DUE DILIGENCE USAGE

All but two of the underlying assets have ratings or creditopinions from Fitch. Fitch has relied on the practices of therelevant Fitch groups to assess the asset portfolio information.

Overall, Fitch's assessment of the asset pool information reliedupon for the agency's rating analysis according to its applicablerating methodologies indicates that it is adequately reliable.

REPRESENTATIONS AND WARRANTIES

A description of the transaction's Representations, Warranties andEnforcement Mechanisms (RW&Es) that are disclosed in the offeringdocument and which relate to the underlying asset pool was notprepared for this transaction. Offering documents for EMEAleveraged finance CLOs typically do not include RW&Es that areavailable to investors and that relate to the asset poolunderlying the CLO. Therefore, Fitch credit reports for EMEAleveraged finance CLO offerings will not typically includedescriptions of RW&Es.

SOURCES OF INFORMATION

The information below was used in the analysis.

-- Loan-by-loan data provided by the arranger as at March 18, 2016 -- Offering circular provided by the arranger as at March 22, 2016 -- Transaction documents provided by the arranger as at March 18, 2016

Following S&P's review of this transaction, its ratings that couldpotentially be affected by the criteria are no longer undercriteria observation.

The downgrades follow S&P's credit and cash flow analysis of thetransaction and the application of its Dutch RMBS criteria.

In S&P's opinion, the current outlook for the Dutch residentialmortgage and real estate market is benign. The generallyfavorable economic conditions support S&P's view that theperformance of Dutch RMBS collateral pools will remain stable in2016. Given S&P's outlook on the Dutch economy, it considers thebase-case expected losses of 0.5% at the 'B' rating level for anarchetypical pool of Dutch mortgage loans, and the otherassumptions in S&P's Dutch RMBS criteria, to be appropriate.

In S&P's view, the transaction's performance has been stable. Asof January 2016, the volume of heavily delinquent loans (arrearsfor more than six months) decreased to 5.93%, compared with 6.1%at S&P's previous review. That said, S&P has excluded these loansfrom its analysis of the collateral pool and assumed a 50%recovery to be realized after 18 months. As most of the borrowersfor these loans have not been current or paying full mortgagepayments for an extended period of time, S&P believes they willnot provide immediate cash flow credit to this transaction untilrecovery.

This transaction no longer has a liquidity facility, and thereserve fund provides the only source of external liquiditysupport to the structure. As of January 2016, the reserve fundstood at EUR517,899, which represents 49% of the required targetlevel. In S&P's view, liquidity support in this transaction islimited.

After applying S&P's Dutch RMBS criteria to this transaction, itscredit analysis results show an increase in the weighted-averageforeclosure frequency (WAFF) and an increase in the weighted-average loss severity (WALS) for each rating level compared withthose at closing.

The increase in the WAFF is primarily due to the use of originalloan-to-value (OLTV) ratios in the WAFF calculation (as opposed tocurrent LTV ratios), and the application of an originatoradjustment at the higher end of S&P's originator adjustment range(0.7x to 1.3x), reflecting the observed historical performance ofELQ Hypotheken N.V. originated pools.

The increase in the WALS is mainly due to the application of S&P'supdated market value decline assumptions, which are higher underits updated criteria.

The overall effect is an increase in the required credit coveragefor all rating levels and consequently, an increase in theliquidity stresses applied in S&P's cash flow analysis.

GARDA CLO BV: Moody's Raises Rating on Class D Notes to Ba1-----------------------------------------------------------Moody's Investors Service has taken rating actions on these notesissued by Garda CLO B.V.:

Garda CLO B.V., issued in February 2007, is a collateralized LoanObligation backed by a portfolio of mostly high yield Europeanloans. It is predominantly composed of senior secured loans. Theportfolio is managed by 3i Debt Management Ltd, and thistransaction ended its reinvestment period in April 2013.

RATINGS RATIONALE

The rating actions on the notes are primarily a result ofdeleveraging of the senior notes. Class A notes have paid down byapproximately EUR32.9 million (12.9% of closing balance) since thelast rating action in July 2015. As a result, over-collateralization ratios of classes A, B and C have increased. Asper the trustee report dated February 2016, the Classes A/B and Covercollateralization (OC) ratios are reported at 190.9% and133.9% respectively, compared to 160.7% and 128.0% in the May 2015report. Moody's notes that such deleveraging is having a lesspronounced impact on the junior notes due to an increase in theCaa -- rated obligations and the associated haircut being appliedby the trustee. The OC ratios for Classes D and E have decreasedto 111.6% and 103.3% respectively, from 112.7% and 106.5% in May2015. Class E's turbo feature is likely to be triggered at thenext payment date in April 2016.

The key model inputs Moody's uses in its analysis, such as par,weighted average rating factor, diversity score and the weightedaverage recovery rate, are based on its published methodology andcould differ from the trustee's reported numbers. In its basecase, Moody's analyzed the underlying collateral pool as having aperforming par and principal proceeds balance of EUR104.1million,defaulted par of EUR9.6 million, a weighted average defaultprobability of 22.4% (consistent with a WARF of 3334), a weightedaverage recovery rate upon default of 46.4% for a Aaa liabilitytarget rating, a diversity score of 21, a weighted average spreadof 3.5%.

The default probability derives from the credit quality of thecollateral pool and Moody's expectation of the remaining life ofthe collateral pool. The estimated average recovery rate onfuture defaults is based primarily on the seniority of the assetsin the collateral pool. Moody's generally applies recovery ratesfor CLO securities as published in "Moody's Approach to Rating SFCDOs". In some cases, alternative recovery assumptions may beconsidered based on the specifics of the analysis of the CLOtransaction. In each case, historical and market performance anda collateral manager's latitude to trade collateral are alsorelevant factors. Moody's incorporates these default and recoverycharacteristics of the collateral pool into its cash flow modelanalysis, subjecting them to stresses as a function of the targetrating of each CLO liability it is analyzing.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody'sGlobal Approach to Rating Collateralized Loan Obligations"published in December 2015.

Factors that would lead to an upgrade or downgrade of the ratings:

In addition to the base-case analysis, Moody's conductedsensitivity analyses on the key parameters for the rated notes,for which it assumed a lower weighted average recovery rate in theportfolio. Moody's ran a model in which it reduced the weightedaverage recovery rate by 5%; the model generated outputs wereunchanged for Classes A and B and within two notches of the base-case result for the remaining Classes.

This transaction is subject to a high level of macroeconomicuncertainty, which could negatively affect the ratings on thenote, in light of uncertainty about credit conditions in thegeneral economy. CLO notes' performance may also be impactedeither positively or negatively by 1) the manager's investmentstrategy and behavior and 2) divergence in the legalinterpretation of CDO documentation by different transactionalparties because of embedded ambiguities.

Additional uncertainty about performance is due to:

Portfolio amortization: The main source of uncertainty in this transaction is the pace of amortization of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortization could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortization would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority.

Around 20.3% of the collateral pool consists of debt obligations whose credit quality Moody's has assessed by using credit estimates. As part of its base case, Moody's has stressed large concentrations of single obligors bearing a credit estimate as described in "Updated Approach to the Usage of Credit Estimates in Rated Transactions," published in October 2009 and available at:

Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over- collateralization levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings.

Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings.

In addition to the quantitative factors that Moody's explicitlymodeled, qualitative factors are part of the rating committee'sconsiderations. These qualitative factors include the structuralprotections in the transaction, its recent performance given themarket environment, the legal environment, specific documentationfeatures, the collateral manager's track record and the potentialfor selection bias in the portfolio. All information available torating committees, including macroeconomic forecasts, input fromother Moody's analytical groups, market factors, and judgmentsregarding the nature and severity of credit stress on thetransactions, can influence the final rating decision.

LBC TANK: Moody's Affirms B1 Corp. Family Rating; Outlook Stable----------------------------------------------------------------Moody's Investors Service has affirmed the B1 corporate familyrating (CFR) and B1-PD probability of default rating (PDR) of LBCTank Terminals Holding Netherlands BV, the holding company of LBCTank Terminals group. Concurrently, Moody's has affirmed the B3rating of the $350 million senior unsecured notes due 2023. Theoutlook on all ratings is stable.

RATINGS RATIONALE

The affirmation of the B1 CFR reflects (1) the resilient nature ofthe business in an economic downturn, with average terminalutilization rate of 92% for the past three years and most revenuessupported by fixed or evergreen contracts on a take-or-pay basis;(2) LBC's high and stable operating profitability, with an EBITDAmargin of c. 45% for the past three years; (3) the company'sestablished global network of terminals in strategic locations,with supporting infrastructure providing high barriers to entry;(4) no direct commodity price risk, as LBC only rents storagecapacity; and (5) longstanding customer relationships, with netchurn level around 1% for the past two years in both Europe and USand an average remaining contract life of 3.7 years as of June2015. As a further supportive consideration, the liquidityposition of the company is adequate, in spite of a large multi-year capex plan. This is due to anticipated positive operatingcash flows, available undrawn committed bank facilities andsubstantial equity injections the shareholders have committed toprovide in order to fund a large portion of the planned brownfieldexpansion. The recent amendments to the terms of the seniorsecured bank facilities are also supportive of the company'sexpansion plan, given (i) the increased headroom under thefinancial covenants, (ii) the lower margin reducing average debtfunding costs by at least $5 million p.a., and (iii) the increasedability to fund expansionary capex in joint-ventures using debt,in combination with new equity.

The rating remains constrained by (1) the company's high adjustedgross leverage of 6.3x (last-twelve-months to December 2015),which Moody's expects to moderately increase over the next 6 to 12months towards 6.5x; (2) LBC's limited size compared with some ofits direct competitors (Vopak, unrated, the largest independenttank storage provider, reported EUR1.3 billion of revenues in FY2014); (3) its negative free cash flow generation expected thisyear and over the next three years due to the company's multi-yearexpansion plan; (4) moderate construction and execution risks inconnection with the brownfield expansion of storage and dockcapacity in Houston (with about half of the added capacity under a50/50 joint venture with Magellan Midstream Partners, L.P., Baa1stable), Antwerp and Rotterdam, which require regulatory permitsand approvals, with potential delays and cost overruns; and (5)the uncertainty concerning the utilization rate of the new tanksonce online, particularly in Rotterdam.

The stable outlook reflects Moody's expectation that thediversified portfolio of storage contracts will be renewed on atimely and favorable basis and will continue generating stablecash flows, as these cash flows are derived from contracts withlong-standing blue chip customers. The outlook also assumes thatthe majority of the capex plan is equity-funded by the existingshareholders, and that liquidity will remain adequate over theentire business plan period.

What Could Change The Rating Up

Upward rating pressure is unlikely pending the execution of theexpansion plan. Over time a rating upgrade will depend on LBC'sprogress in delivering on its growth projects, leading toincreases in cash flow and EBITDA, with debt/EBITDA approaching5.0x.

What Could Change The Rating Down

The ratings could be downgraded if LBC's debt/EBITDA remainselevated sustainably exceeding 6.5x, indicative of project delays,underperforming assets, lost business or more aggressive thancurrently anticipated debt-funded growth. Weaker liquidity andmaterially lower headroom under the financial covenants will alsoexert negative rating pressure.

The principal methodology used in these ratings was GlobalMidstream Energy published in December 2010.

LBC Tank Terminals is an independent global operator of bulkliquid storage facilities predominantly for chemical but also oilproducts, with a capacity of 2.9 million m3 at key locations inWestern Europe, including Antwerp, Rotterdam and Le Havre, as wellas the US Gulf Coast and Shanghai. With a network of 14 terminals(two in the US, one in China and 11 in Europe), it is one of thetop twenty largest independent operators of bulk liquid storageterminals and the second largest independent chemical storagecompany by capacity. The company reported revenues and EBITDA of$248 million and $106 million respectively for financial year 2015(June year-end, and accounting for the Sogestrol joint venturefollowing the equity method). Since September 2012 it has beenmajority owned by the two largest Dutch pension funds, PGGM andAPG, that together hold a 65% stake.

NORTH WESTERLY III: Moody's Hikes Cl. E Notes Rating to Caa1(sf)----------------------------------------------------------------Moody's Investors Service announced today that it has taken ratingactions on the following classes of notes issued by North WesterlyCLO III B.V.:

North Westerly CLO III B.V., issued in August 2006, is acollateralised loan obligation (CLO) backed by a portfolio ofmostly high-yield senior secured European loans managed by NIBCBank N.V. The transaction's reinvestment period ended in October2012.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes arethe result of deleveraging. Class A notes have paid down byapproximately EUR24.4 million (8% of closing balance) since thelast rating action in May 2015, as a result of which over-collateralization (OC) ratios of all classes of rated notes haveincreased. As per the trustee report dated January 2016, Class A,Class B, Class C, Class D, and Class E OC ratios are reported at560.27%, 191.70%, 142.05%, 114.92%, and 103.51% compared to April2015 levels of 287.09%, 161.19%, 130.73%, 111.51%, and 101.46%,respectively.

The key model inputs Moody's uses in its analysis, such as par,weighted average rating factor, diversity score and the weightedaverage recovery rate, are based on its published methodology andcould differ from the trustee's reported numbers. In its basecase, Moody's analyzed the underlying collateral pool as having aperforming par and principal proceeds of EUR93.38 million,defaulted par of EUR4.45 million, a weighted average defaultprobability of 27.88% (consistent with a WARF of 4446 over aweighted average life of 3.32 years), a weighted average recoveryrate upon default of 47.19% for a Aaa liability target rating, adiversity score of 12 and a weighted average spread of 3.97%.

The default probability derives from the credit quality of thecollateral pool and Moody's expectation of the remaining life ofthe collateral pool. In each case, historical and marketperformance and a collateral manager's latitude to tradecollateral are also relevant factors. Moody's incorporates thesedefault and recovery characteristics of the collateral pool intoits cash flow model analysis, subjecting them to stresses as afunction of the target rating of each CLO liability it isanalyzing.

Moody's notes that just after its initial analysis based onJanuary 2016 data was completed, the February 2016 trustee reportwas issued. Class E OC ratio is now in breach, and accordinglyClass E's turbo feature is likely to be triggered at the nextpayment date in April 2016.

As the transaction closed only a year ago, there is limitedobservable asset performance. Recent STORM originations (issuedsince 2012) have outperformed the Fitch-rated average late-stagearrears (arrears greater than three months), with Storm 2013-IIIexhibiting the highest level of 0.54% against the market's 0.6%.

Seven loans have been foreclosed to date in this transaction withan observed recovery of 86%.

No Credit to NHG Loans

At transaction close, the information received from the originatordid not suggest better historical performance of NHG loanscompared with non-NHG loans. On the contrary, for loansoriginated between 2007 and 2010, data suggests that NHG loanshave underperformed. Therefore in the calculation of the weightedaverage foreclosure frequency of the pool, no credit is given toNHG loans (29% of the current portfolio)

NHG loans still benefit from a higher recovery assumption in linewith Fitch criteria.

Higher Compliance Ratio

Based on our analysis of claims from Obvion-originated loans(between 2005 and 2013), Fitch has assigned a compliance ratio of90% to the NHG portion of the portfolio. This ratio is at thehigher end of what is typically observed in the Dutch market(between 80%-90%).

Insurance Set-off Risk

Within the portfolio 6.3% are loans with life insurance paymentvehicles attached. Upon insolvency of the insurance providerthere is a risk that borrowers may try to set-off their insuranceclaim against the lender. Fitch accounts for this risk byassuming a capital build-up over 30 years and then analysing theeffect of a combined default of the insurance providers, factoringin the affiliation of the insurance provider to the originallender.

The most stressful scenario is found to be the one with lowprepayments due to capital build-up under the insurance schemeprior to the provider's insolvency. The maximum exposureresulting from this calculation is then applied against therequired credit enhancement for the various rating levels. It wasfound to have a minimal effect on the rating outcome.

Guaranteed Excess Spread

Under the terms of a swap with Obvion the transaction isguaranteed an excess spread of 50bps (on a notional equivalent tothe outstanding balance of the notes less any balance on theprincipal deficiency ledger (PDL)). Interest and principal on theclass E notes is entirely dependent on excess spread and as therehave been minimal losses to date (0.01% of the original balance),the notes have amortised by 6% since transaction close.

No third party due diligence was provided or reviewed in relationto this rating action.

DATA ADEQUACY

Fitch has checked the consistency and plausibility of theinformation it has received about the performance of the assetpool and the transaction. There were no findings that werematerial to this analysis. Fitch has not reviewed the results ofany third party assessment of the asset portfolio information orconducted a review of origination files as part of its ongoingmonitoring.

Prior to the transaction closing, Fitch reviewed the results of athird party assessment conducted on the asset portfolioinformation, which indicated errors or missing data related to thevaluation information. These findings were considered in thisanalysis and factored into the lender adjustment applied.

Prior to the transaction's closing, Fitch conducted a review of asmall targeted sample of Obvion's origination files and found theinformation contained in the reviewed files to be adequatelyconsistent with the originator's policies and practices and theother information provided to the agency about the assetportfolio.

Overall, Fitch's assessment of the information relied upon for theagency's rating analysis according to its applicable ratingmethodologies indicates that it is adequately reliable.

The upgrades follow S&P's assessment of the transaction'sperformance using data from the Feb. 17, 2016 trustee report andthe application of its relevant criteria.

S&P subjected the capital structure to a cash flow analysis todetermine the break-even default rate (BDR) for each rated classat each rating level. The BDR represents S&P's estimate of themaximum level of gross defaults, based on its stress assumptions,that a tranche can withstand and still fully repay thenoteholders. In S&P's analysis, it used the portfolio balancethat it considers to be performing (EUR226,813,578), the currentweighted-average spread (4.02%), and the weighted-average recoveryrates calculated in line with S&P's corporate collateralized debtobligation (CDO) criteria. S&P applied various cash flowstresses, using its standard default patterns, in conjunction withdifferent interest rate stress scenarios.

Since our Aug. 14, 2014 review, the aggregate collateral balancehas decreased by 41.02% to EUR226.81 million from EUR384.43million.

The class A-1, A-2A, A-2B, and E notes have amortized by EUR163.47million since S&P's previous review. In S&P's view, this hasincreased the available credit enhancement for all of the ratedclasses of notes. S&P has also observed that theovercollateralization tests have improved and the concentration ofdefaulted assets has decreased since S&P's previous review.

S&P has observed that non-euro-denominated assets currently makeup 8.46% of the total performing assets. These assets are hedgedby cross-currency swap agreements. In S&P's opinion, thedocumentation for these derivative agreements does not fullyreflect S&P's current counterparty criteria. In S&P's cash flowanalysis, for ratings above the issuer credit rating plus onenotch on the counterparty, S&P considered scenarios where the swapcounterparty does not perform.

The exposure to obligors based in countries rated below 'A-' isgreater than 10% of the aggregate collateral balance (16.6%).Therefore, S&P has also applied additional stresses in accordancewith its nonsovereign ratings criteria.

Taking into account the results of S&P's credit and cash flowanalysis and the application of its current counterparty criteriaand its nonsovereign ratings criteria, S&P considers that theavailable credit enhancement for the class A-1, A-2A, A-2B, B, C,D, and E notes is commensurate with higher ratings than thosepreviously assigned. S&P has therefore raised its ratings onthese classes of notes.

Wood Street CLO III is a cash flow collateralized loan (CLO)obligation transaction that securitizes loans to primarilyspeculative-grade corporate firms. The transaction closed in June2006, with a reinvestment period that ended in August 2012, and ismanaged by Alcentra Ltd.

Abanca's Long-term IDR is driven by the bank's standalonecreditworthiness, as captured by the VR. The ratings reflect thebank's adequate capitalization and comfortable funding andliquidity profile for the rating but also weak core bankingprofitability and a high, albeit decreasing, stock of problemassets.

Abanca's profits have significantly relied on extraordinary itemsin the last couple of years. In 2015, the bank made capital gainsfrom its government debt securities portfolio and from its equitystakes, which enabled it to increase provisions and offset areduction in net interest income and increased non-recurringoperating costs.

Asset quality continued to improve in 2015, helped by write-offsand recoveries. Its problem asset (NPLs and foreclosed assets)ratio declined to 11.6% at end-2015 from 14.7% at end-2014, butthis continues to compare unfavorably by international standards.Asset quality weaknesses are mitigated by sound NPL cover at 60%,which is at the higher end of the range for Spanish banks. Fitchexpects problem assets to continue declining, helped by Spain'seconomic recovery.

Abanca's Fitch Core Capital (FCC) ratio remained broadly unchangedat 13.7% at end-2015 and its fully loaded CET1 ratio was 13.8%.In our assessment of capital, the FCC does not take into accountany potential dividend distribution relating to the deferredpayments to the Spanish Fund for Orderly Bank Restructuring (FROB)in connection with the 2013 acquisition of Abanca from the Spanishgovernment. When taking dividends into account, the FCC would be12.5%. Capital at risk from unreserved problem assets decreasedto 48% of FCC at end-2015 (53% when adjusted for the potentialdistribution of dividends), from 67% at end-2014.

Abanca's funding structure is comfortable for the rating. Thebank funds loans with retail deposits, as reflected by a grossloan/deposit ratio of 96% at end-2015. However, ECB fundingremains comparatively higher than peers' as it is used to fund alarge stock of legacy debt securities, including those related tothe transfer of real estate assets to Spain's bad bank (SAREB).Liquidity reserves are ample in the context of scheduled debtrepayments.

SUPPORT RATING AND SUPPORT RATING FLOOR

The Support Rating (SR) of '5' and Support Rating Floor (SRF) of'No Floor' reflect Fitch's belief that senior creditors of thebank can no longer rely on receiving full extraordinary supportfrom the sovereign in the event that the bank becomes non-viable.

Fitch views the EU's Bank Recovery and Resolution Directive (BRRD)and Single Resolution Mechanism (SRM) provide a framework forresolving banks that is likely to require senior creditorsparticipating in losses, if necessary, instead of or ahead of abank receiving sovereign support. BRRD has been effective in EUmember states since Jan. 1, 2015, including minimum lossabsorption requirements before resolution financing or alternativefinancing (eg, government stabilization funds) can be used. Fullapplication of BRRD, including the bail-in tool, is required fromJan. 1, 2016. BRRD was transposed into Spanish legislation onJune 18, 2015.

RATING SENSITIVITIES

IDRS AND VR

While upside is currently limited, the bank's IDRs and VR could beupgraded if Abanca sustainably improves its underlyingprofitability, principally by enhancing the profitability of itscore banking business, diversifying income sources and reducingcosts. Continued asset quality improvement leading to a decreasein loan impairments as well as capital at risk from unreservedproblem assets, could also be rating-positive.

Downward rating pressure would arise from loan quality and capitaldeterioration, or a significant increase in appetite for profitsthat compromises its risk profile amid low loan growth prospectsin the next two years. Similarly, a deterioration of the bank'sfunding and liquidity profile would put pressure on the ratings.

SUPPORT RATING AND SUPPORT RATING FLOOR

An upgrade of the SR and upward revision of the SRF would becontingent on a positive change in the sovereign's propensity tosupport its banks. While not impossible, this is highly unlikely,in Fitch's view.

The review for downgrade was triggered by increased downside risksto BPI's credit profile, stemming from (1) the lack of visibleadvances in solving the bank's breach of the regulatory largeexposure limits, in relation to its exposure to Angola (Ba2 reviewfor downgrade), before the European Central Bank's (ECB) imposeddeadline of April 10, 2016; and (2) heightened risks associatedwith its Angolan exposures, as reflected by Moody's decision toplace on review for downgrade Angola's sovereign rating on March4, 2016.

Moody's expects to conclude the rating review in the next fewweeks, when the rating agency will have further visibility on thelikelihood of an effective approval of remedial actions to reduceBPI's large exposures to Angola before the imposed deadline.During the review period, Moody's will also assess the creditimplications for BPI of (1) remedial actions requested by theECB's if the bank's large exposure limit breaches are notaddressed in a timely fashion; (2) recent evidence of corporategovernance shortcomings and (3) the impact of the deterioratingmacroeconomic conditions in Angola if the bank's Africanoperations are not deconsolidated.

The review for downgrade of BPI's ratings was prompted by Moody'srising concerns about the bank's financial profile as the ECB'sdeadline is approaching, but no solution has yet been approved forBPI's large exposures to the Angolan state and the National Bankof Angola. These exposures, standing at EUR3.6 billion and EUR1.3billion, respectively, exceed the limit to large exposures byEUR3.0 billion and 0.2 billion. The review for downgrade alsohighlights the heightened wider risks for the bank followingMoody's recent review for downgrade of Angola's Ba2 sovereignbonds rating.

On Sept. 30, 2015, BPI presented a plan to spin off its bankingassets in Angola and Mozambique that was subject to the approvalof the bank's Shareholder General Meeting. This demerger planfollowed the ECB's requirement to comply with the large exposurelimits in relation to BPI's Angolan exposures. Although the planfailed to be approved in February 2016, the bank's mainshareholders Caixabank, S.A. (Baa2/Baa2 stable; ba1 and holding44.1% of the bank's capital) and Santoro Finance - Prestacao deServicos S.A. (unrated and with a 18.6% stake on BPI's capital)publicly disclosed that they were in negotiations to seek asolution for BPI's excess risk concentrations to Angola in earlyMarch.

However, as the ECB's deadline is approaching, Moody's isincreasingly concerned about the consequences for BPI's creditprofile and the imposition by the ECB of remedial actions if thedeadline is not met, nor extended by the relevant authorities.

Furthermore, the above mentioned recent events have evidenced thecrystallization of corporate governance issues at the bank thatnamely stem from the voting cap imposed to shareholders havingmore that 20% of voting rights. During the review period, Moody'swill assess BPI's corporate behavior and the likelihood thatcurrent corporate governance shortcomings could be solved in thenear future or continue weighing on the bank's financialperformance going forward.

Given the very relevant weight of the Angolan operations for BPI(i.e. 61% of total profit and around 19% of total group assets atend-December 2015), the review for downgrade also reflects therisks for the group's overall performance of a potential downturnof the Angolan economy owing to very low oil prices. During thereview period, Moody's will also assess the potential negativeimplications that reduced fiscal spending and currency devaluationin Angola could pose for BPI's credit profile. If the demergerplan of the bank's African operations is approved before therating agency concludes its rating review of Angola's sovereignrating, risks associated to this country will be dissipated as BPIwill be only exposed to its Portuguese activities.

BPI's Ba3 long-term senior debt and deposit ratings on review fordowngrade currently reflect: (1) the bank's b1 BCA, which has beenplaced on review for downgrade today, (2) no uplift from Moody'sAdvanced Loss Given Failure (LGF) analysis; and (3) one notch ofuplift from Moody's assumptions of moderate government supportfrom Portugal (Ba1 stable).

WHAT COULD CHANGE THE RATINGS UP/DOWN

Downward pressure on BPI's ratings could arise if it fails toachieve a solution to reduce its very large risk exposures toAngola, and/or its standalone credit profile is affected by aworsening of the economic conditions in Angola.

An upgrade of the bank's ratings is unlikely given the currentreview for downgrade.

Outlook Actions: Outlook changed to Rating under Review from No Outlook

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Bankspublished in January 2016.

CATALUNYA BANC: Moody's Raises Rating on Sr. Unsec. Debt to Ba2---------------------------------------------------------------Moody's Investors Service has upgraded to Ba2 from B1 the long-term senior unsecured debt and deposit ratings of Catalunya BancSA. The rating agency has also upgraded: (1) The bank's baselinecredit assessment (BCA) to caa1 from caa2; (2) the bank's adjustedBCA to ba1 from b1; and (3) the bank's Counterparty RiskAssessment (CR Assessment) to Baa3(cr)/Prime-3(cr) fromBa2(cr)/NP(cr). The bank's short-term deposit and seniorunsecured debt ratings have been affirmed at Not-Prime. Theoutlook on the long-term senior unsecured debt and deposit ratingsremains positive.

This rating action reflects the improvement of Catalunya Bank'scredit fundamentals, notably in terms of asset quality, capitaland liquidity, as well as Moody's assessment of a higherprobability of receiving financial support from its parent companyBanco Bilbao Vizcaya Argentaria, S.A. (BBVA, A3/Baa1 stable, baa2)following progress in integrating the subsidiary, which wasacquired in April 2015, into BBVA group.

RATINGS RATIONALE

-- RATIONALE FOR UPGRADING THE BCA

The upgrade of Catalunya Banc's BCA to caa1 from caa2 is based onthe bank's improved fundamentals, notably in terms of assetquality, capital and liquidity. The bank's problem loan ratio hasimproved to 14.8% at year-end 2015 from 24.2% a year earlier, andits loan-to-deposit ratio has reduced from 120% to 88% over thesame period. At the same time, the bank's regulatory commonequity tier 1 (CET1) ratio has improved from 15.1% to 17.5% overthe same period, an improvement which is visible as well inMoody's tangible common equity (TCE) ratio which now stands at9.4%, up from 6.6%.

Moody's notes that the bank's fundamentals have improvedsubstantially since the segregation and sale to Blackstone Groupof a EUR6.4 billion problematic loan portfolio in April 2015, andwe expect this improvement to be sustained. This operation hadnotable positive effects in terms of: (1) asset quality, giventhat a large portion of the segregated loans were nonperforming,(2) liquidity, given that EUR4.2 billion of illiquid assets (netvalue of the mentioned portfolio) were replaced by cash (EUR3.6billion, the purchase price paid by Blackstone) and a EUR572million bond issued by the FROB; and (3) capital, because of thesignificant reduction in the volume of risk-weighted assets, whilethe difference between the portfolio's book value and its purchaseprice was covered by the FROB. Moody's believes that theimprovement in fundamentals is sustainable, owing to the morefavorable operating environment and the oversight of CatalunyaBanc's operations by BBVA, which benefits from stronger riskmanagement practices.

Despite the mentioned improvement, Moody's notes that CatalunyaBank continues to display a very weak credit profile, consistentwith a BCA in the caa category. The bank's problem loan was stillat a high 14.8% at the end of 2015, increasing to 26% if otherproblematic assets like repossessed real estate assets andperforming, refinanced loans are added to problem loans to build-up a "non-earning" assets ratio. The bank was loss making in 2015and, although the large loss before taxes reported was largely dueto extraordinary provisions, the bank showed a very weak capacityto generate recurrent earnings.

--- RATIONALE FOR UPGRADING THE ADJUSTED BCA

Moody's acknowledges that BBVA has taken significant steps in theintegration of Catalunya Banc into BBVA group since it wasacquired in April 2015. As a consequence, Moody's has increasedthe parental support uplift from four to six notches, bringing thebank's Adjusted BCA to ba1 from b1.

Moody's upgrade of Catalunya Banc's long-term deposit and seniorunsecured debt ratings by two notches is based on the three-notchupgrade of the bank's Adjusted BCA. As a negative offsettingfactor, Moody's Advanced LGF analysis provides a more negativeoutcome for deposits and senior unsecured debt due to changes inthe bank's liability structure. The updated LGF analysisindicates that deposits and senior unsecured debt are likely toface high loss-given-failure owing to the modest amount of juniordeposits and outstanding senior unsecured debt, leading to anegative LGF notching of one notch for both instruments, from azero-LGF notching according to the previous liability structure.This results in a Preliminary Rating Assessment (PRA) of ba2 fordeposits and senior unsecured debt, one notch below the AdjustedBCA, and ultimately in Ba2 ratings for both instruments, wherebyMoody's assumptions of a low likelihood of systemic support forCatalunya Banc does result in no further uplift to the bank'sratings.

--- RATIONALE FOR UPGRADING THE CR ASSESSMENT

As part of the rating action, Moody's also upgraded toBaa3(cr)/Prime-3(cr) from Ba2(cr)/Not-Prime(cr) the CR Assessmentto Catalunya Banc, one notch above the adjusted BCA of ba1. TheCR Assessment is driven by the banks' BCA, support provided by theparent and by the cushion against default provided to the seniorobligations represented by the CR Assessment by subordinatedinstruments amounting to 8% of tangible banking assets.

--- RATIONALE FOR THE POSITIVE OUTLOOK

The outlook on Catalunya Banc's deposit and senior unsecured debtratings is positive, reflecting our expectation of a fullintegration of the bank into BBVA, which would eventually lead tothe convergence of both banks' ratings. Catalunya Banc wouldbenefit from this integration owing to BBVA's oversight andexperience in restructuring and integration.

WHAT COULD CHANGE THE RATING ? UP

The bank's ratings could be upgraded as a consequence of: (1) Amaterial improvement in its financial performance, primarily interms of recurrent profitability and capital; (2) explicitfinancial support from BBVA; and/or (3) Moody's assessment of ahigher probability of parental support, which would stem from afull integration into BBVA.

As the bank's senior unsecured debt and deposit ratings are linkedto the bank's adjusted BCA, a positive change in the adjusted BCAwould be likely to positively affect all ratings. The seniorunsecured debt and deposit ratings could also be upgraded if thebank changes its current liability structure, which indicate alower loss-given-failure to be faced by these securities, i.e., byissuing a material amount of debt securities.

WHAT COULD CHANGE THE RATING ? DOWN

Downward rating pressure could materialize if the bank's assetquality show signs of further weakening or capital is eroded as aconsequence of reporting losses, and with an absence of financialsupport provision from BBVA.

The affirmation follows S&P's assessment of the transaction'sperformance using the available servicer reports as well as theapplication of S&P's criteria for European collateralized loanobligations (CLOs) backed by small and midsize enterprises (SMEs)and other relevant criteria.

CREDIT ANALYSIS

Based on S&P's review of the current pool and since its previousreview in June 2013, the pool has experienced further defaults andthe obligor concentration risk has increased due to the continueddeleveraging of loans.

The underlying pool is highly seasoned with a pool factor (thepercentage of the pool's outstanding aggregate principal balancecompared with the closing date) of about 3%. According to theservicer reports, the cumulative defaults account for 4.63% of theclosing pool balance (compared with 4.17% at S&P's June 2013review).

The current reserve fund available is equal to 5.69% of the classC notes' current balance. The amortization of all of the seniorclasses of notes has increased the available credit enhancementfor the class C notes.

S&P has applied its European SME CLO criteria to determine thescenario default rates (SDRs) for this transaction. The SDR isthe minimum level of portfolio defaults S&P expects each CLOtranche to be able to support the specific rating level usingStandard & Poor's CDO Evaluator.

In accordance with S&P's 2013 review, and with no additionalinformation received since then, S&P categorizes the originator asmoderate (based on tables 1, 2, and 3 in S&P's criteria), whichfactored in Spain's Banking Industry Country Risk Assessment(BICRA) of 5 (as the country of origin for these SME loans isSpain). This resulted in a downward adjustment of one notch tothe 'b+' archetypical European SME average credit qualityassessment to determine loan-level rating inputs and applying the'AAA' targeted corporate portfolio default rates. As a result,S&P's average credit quality assessment of the pool is 'b'.

S&P further applied a portfolio selection adjustment of minusthree notches to the 'b' credit quality assessment, which S&Pbased on its review of the current pool characteristics, comparedwith the originator's other transactions. As a result, S&P'saverage credit quality assessment of the pool to derive theportfolio's 'AAA' SDR was 'ccc'. S&P therefore assumed that eachloan in the portfolio had a credit quality that is equal to itsaverage credit quality assessment of the portfolio.

S&P has assessed Spain's current market trends and developments,macroeconomic factors, and the way these factors are likely toaffect the loan portfolio's creditworthiness to determine S&P's'B' SDR. Considering the performance of the transaction and thedefault trends S&P has observed in the past 8 to 10 quarters, ithas not changed the 'B' SDR assumption it made at its previousreview.

The SDRs for rating levels between 'B' and 'AAA' are interpolatedin accordance with S&P's European SME CLO criteria.

RECOVERY RATE ANALYSIS

At each liability rating level, S&P assumed a weighted-averagerecovery rate (WARR) by considering the asset type(secured/unsecured), its seniority (first lien/second lien), andthe country recovery grouping. S&P also factored in the actualrecoveries from the historical defaulted assets, to derive itsrecovery rate assumptions to be applied in S&P's cash flowanalysis.

COUNTERPARTY RISK

The transaction features an interest rate swap. Cecabank S.A.(BBB/Stable/A-2) is the swap counterparty. S&P has reviewed theswap counterparty's downgrade provisions under its currentcounterparty criteria, and, in S&P's opinion, they do not fullycomply with its current counterparty criteria. As S&P's long-termrating on Cecabank is higher than S&P's rating on the class Cnotes, it did not apply any additional stresses in its cash flowanalysis.

CASH FLOW ANALYSIS

S&P subjected the capital structure to various cash flowscenarios, incorporating different default patterns, recoverytimings, and interest rate curves to generate the minimum break-even default rate (BDR) for each rated tranche in the capitalstructure. The BDR is the maximum level of gross defaults that atranche can withstand and still fully repay the noteholders, giventhe assets and structure's characteristics. S&P then comparedthese BDRs with the SDRs outlined above.

SUPPLEMENTAL TESTS

S&P's rating on the class C notes is constrained at 'CCC- (sf)' bythe application of the largest obligor default test.

Following S&P's assessment of the transaction's performance andthe application of its relevant criteria, S&P's cash flow resultsindicate that the available credit enhancement for the class Cnotes is commensurate with the currently assigned rating. S&P hastherefore affirmed its 'CCC- (sf)' rating on the class C notes.

The downgrade reflects Fitch's view that the risk that Ferrexpowill deplete its remaining cash reserves over the next six to 12months has increased, using our iron ore price assumptions ofUSD45/t in 2016 and given no extension of its pre-export financing(PXF) maturities/amortization announced to date. Ferrexpo'scurrent liquidity position remains weak with no measures to boostliquidity announced since September 2015 when we placed theratings on RWN. However, Fitch understands that the company iscurrently investigating various measures to increase availableliquidity. Ferrexpo currently faces monthly PXF maturitiespayments through to July 2016 (USD17.5 mil.) which must be metfrom internal cash generation.

KEY RATING DRIVERS

Liquidity Limited by Debt Maturities

While Ferrexpo continues to generate positive free cash flow(FCF), most if not all of it is directed towards meeting PXFprincipal repayments and bond coupon payments, resulting in agradual reduction in liquidity over the period to November 2016.Fitch considers that management is likely to undertake non-operational actions to restore liquidity to an acceptable marginof safety in light of the current volatility in commodity price,currency and inflation rates.

Competitive Cost Producer

Ferrexpo's operating cost position sits within the first quartileof the global pellets cost curve. In 2015, cash costs improvedsignificantly compared with the previous two years, mainly due tocurrency depreciation dynamics (50% of operating costs are linkedto the hryvnia) and a sustained drop in energy prices. Theseresulted in a 30% decrease in costs in 2015, reaching USD32 pertonne, down from USD46 in 2014. Energy costs now representapproximately 50% of total costs, and should continue tocontribute to a further reduction in comparative cost levels in2016.

Ukrainian Risk Exposure

Ferrexpo's operating base is in Ukraine. The country has recentlyexperienced high domestic inflation, combined with significantcurrency depreciation (85% in 2015 vs. USD and greater than 125%since 2014), and some delays in VAT repayment by the state.However, military conflict in the Donbass region has not directlyimpacted Ferrexpo's operations and transport infrastructure due totheir location in the Poltava region, approximately 425km north ofDonetsk.

Continuing Profitability

Cash costs improvements, together with the pellet premium receivedover the benchmark 62% iron ore price, have significantly offsetthe 30% drop in top line revenues that followed the fall in ironprices. As a result, Fitch expects Ferrexpo's profitability toremain stable, with an EBITDA margin ranging between 30%-35% inthe medium term. Ferrexpo's funds from operations (FFO)-adjustedgross leverage was 3.4x in 2015 (vs. 3.6x in 2014) and willdecline in 2017 due to Fitch's expectations of slight EBITDAimprovement resulting from iron ore prices recovery, as well as ofdebt reduction, both in absolute terms.

Iron Ore Premium Pellet Producer

In February 2016, 62% iron ore prices averaged USD46 per tonne,down approximately 30% yoy and down 62% since February 2014,reflecting oversupply in the global market and in particular aslowdown in demand from the Chinese steel industry.

However, Fitch expects the demand for premium quality pellets toremain sound. Fitch expects premium pellet supply to be limitedin the next couple of years due to the disrupted supply fromSamarco and the high capital cost of new pellet plants additions.Ferrexpo compares favorably with its competitors in the premiumpellet market. It has long-term contracts with European producersand enjoys European pellet premiums of around USD25 per tonnecompared with Chinese premiums of USD12 per tonne as of February2016.

KEY ASSUMPTIONS

-- Fitch iron ore price deck: USD45/t in 2016 and 2017, USD50/t in 2018, USD50/t in the long term -- Forecast price premium for pellets based on FY15 realized premium -- Production volumes: 11.7mt per year iron ore pellets in 2016 -- USD40 mil. capex in 2016 and USD50m onward -- USD/UAH27 in 2016

-- Strengthening of Ferrexpo's liquidity position due to new sources of financing, a sustainable renegotiated debt maturity profile or higher than expected iron ore prices.

LIQUIDITY

As of December 2015 the company's cash balance was USD35 mil. vs.USD196 mil. in short-term debt to be repaid in 2016 and USD54 mil.of coupon/interest payments. The short-term debt is composed of(i) monthly PXF amortizations of USD17.5 mil. until July 2016;(ii) USD45 mil. of quarterly PXF installments starting in November2016; and (iii) USD28 mil. of other debt.

Fitch forecasts that the company will generate approximateUSD150 mil. - USD190 mil. of FCF in 2016 (post interest/coupon).Fitch estimates that the company's liquidity position is notadequate as it will be just enough to service the company's debt,working capital and capital expenditures for the next six to 12months, while remaining exposed to further fluctuations in ironore prices, currency and energy costs movements.

Under the transaction documents, the rated notes pay quarterlyinterest unless there is a frequency switch event. Following suchan event, the notes will switch to semiannual payments. Thetransaction has a six-month ramp-up period, a four-yearreinvestment period, and a maximum weighted-average life of eightyears from the closing date.

"At the end of the ramp-up period, we understand that theportfolio will represent a well-diversified pool of corporatecredits. Therefore, we have conducted our credit and cash flowanalysis by applying our criteria for corporate cash flowcollateralized debt obligations," S&P said.

"Our preliminary ratings reflect our assessment of the preliminarycollateral portfolio's credit quality and the available creditenhancement for the rated notes through the subordination ofpayable cash flows. In our cash flow analysis, we used the EUR400million target par amount, the covenanted weighted-average spread(4.05%), the covenanted weighted-average coupon (5.25%), and thecovenanted weighted-average recovery rates at each rating level.We applied various cash flow stress scenarios, using fourdifferent default patterns, in conjunction with different interestrate stress scenarios for each liability rating category," S&Pnoted.

Elavon Financial Services Ltd. is the bank account provider andcustodian. The portfolio can comprise a maximum of 30% non-euro-denominated obligations, subject to an asset swap provided by ahedge counterparty. The participants' downgrade remedies areexpected to be in line with S&P's current counterparty criteria.

The issuer is expected to be bankruptcy remote, in accordance withS&P's European legal criteria.

Following S&P's analysis of the credit, cash flow, counterparty,operational, and legal risks, S&P believes its preliminary ratingsare commensurate with the available credit enhancement for eachclass of notes.

LFHPL and LFL were established as part of the recent acquisitionof LeasePlan Corporation NV (LeasePlan; BBB+/Outlook Stable) by aconsortium of new owners. LeasePlan is a global leader in vehicleleasing, and also a licensed bank, regulated by De NederlandscheBank (DNB).

The ratings are in line with the expected ratings assigned on 3February 2016, although under the final terms of the issue all ofthe debt has a five-year maturity as opposed to the previouslyexpected five and seven-year mix. It is split betweenEUR1.25 bil. and USD400 mil. tranches, with coupon rates of 6.875%and 7.375% respectively.

KEY RATING DRIVERS

IDR AND SENIOR DEBT

LeasePlan represents LFHPL's only significant asset, and neitherLFHPL nor LFL will have material source of income other thandividends from LeasePlan. There are no cross-guarantees of debtbetween LFL and LeasePlan, and the ratings reflect the structuralsubordination of LFHPL and LFL creditors to those of LeasePlan.In Fitch's view, debt issued by LFL is sufficiently isolated fromLeasePlan so that failure to service it, all else being equal, mayhave limited implications for the creditworthiness of LeasePlan.Consequently, the instrument rating is based on the standaloneprofile of LFL and the guarantor.

LFHPL commences its ownership of LeasePlan with an interestreserve account containing cash covering 2.5 years of couponpayments on the senior secured notes. This eases LFL's initialdebt service pressure. LFHPL is also covenanted to maintain atleast this same level of cash coverage in the interest reserveaccount thereafter. However, replenishment of this cash will bedependent both on LeasePlan's ongoing ability to generate profits,and on DNB approval for their distribution in dividend form.

Fitch does not expect LeasePlan to adopt a significantly differentstrategy under new ownership to that employed previously. Itsrecent results have been strong, with net income in 2015 ofEUR442.5 mil. and a common equity Tier 1 ratio at Dec. 31, 2015,of 17%. Profits have since 2013 been boosted by gains on usedvehicle sales in excess of longer-term norms, but operatingperformance has also been sound.

RATING SENSITIVITIES

IDR AND SENIOR DEBT

Both the IDR and the rating of the notes would be negativelysensitive to any significant depletion of liquidity within LFHPLwhich affects its ability to service its debt obligations. Thiswould most likely be prompted by a material fall in earningswithin LeasePlan restricting its capacity to pay dividends.

Positive rating action would likely stem from an accumulation ofsignificant additional cash within LFHPL, accompanied byexpectation of its retention there, as this would reduce thedependence of ongoing debt service on future LeasePlan dividends.

The ratings could also be sensitive to the addition of newliabilities or assets within LFHPL, but the impact would depend onthe balance struck between increasing LFHPL's debt serviceobligations and diversifying its income away from reliance onLeasePlan dividends.

===============X X X X X X X X===============

* BOND PRICING: For the Week March 21 to March 25, 2016------------------------------------------------------

Monday's edition of the TCR delivers a list of indicative pricesfor bond issues that reportedly trade well below par. Prices areobtained by TCR editors from a variety of outside sources duringthe prior week we think are reliable. Those sources may not,however, be complete or accurate. The Monday Bond Pricing tableis compiled on the Friday prior to publication. Prices reportedare not intended to reflect actual trades. Prices for actualtrades are probably different. Our objective is to shareinformation, not make markets in publicly traded securities.Nothing in the TCR constitutes an offer or solicitation to buy orsell any security of any kind. It is likely that some entityaffiliated with a TCR editor holds some position in the issuers'public debt and equity securities about which we report.

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